Active International Correlations

MSACX Fund

USD 20.75 0.05 0.24%

The current 90-days correlation between Active International and Walden Midcap Fund is 0.65 (i.e., Poor diversification). The correlation of Active International is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Active International Correlation With Market

Poor diversification

The correlation between Active International Allocatio and DJI is 0.71 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Active International Allocatio and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Active International Allocation. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in banks.

Moving together with Active Mutual Fund

0.93	MMKBX	Emerging Markets Por	Pair Corr
0.86	TILUX	Inflation Linked Fixed	Pair Corr
0.89	MRHYX	Msift High Yield	Pair Corr
0.74	MSQLX	International Equity	Pair Corr
0.89	MSPTX	Global Advantage Por	Pair Corr
0.92	MSSGX	Small Pany Growth	Pair Corr
0.96	MSSOX	Global Strategist	Pair Corr
0.96	MBAAX	Global Strategist	Pair Corr
0.9	MSYLX	High Yield Portfolio	Pair Corr
0.89	MSYPX	High Yield Portfolio	Pair Corr
0.89	MSYIX	High Yield Portfolio	Pair Corr
0.83	USGCX	Morgan Stanley Government	Pair Corr
0.92	MFIRX	Ms Global Fixed	Pair Corr
0.85	MGKAX	Morgan Stanley Global	Pair Corr
0.76	MIQPX	International Equity	Pair Corr
0.98	VGTSX	Vanguard Total Inter	Pair Corr
0.98	VTIAX	Vanguard Total Inter	Pair Corr
0.98	VTSNX	Vanguard Total Inter	Pair Corr
0.98	VTPSX	Vanguard Total Inter	Pair Corr
0.96	VTISX	Vanguard Total Inter	Pair Corr
0.96	VTMGX	Vanguard Developed	Pair Corr
0.96	VDVIX	Vanguard Developed	Pair Corr
0.94	VTMNX	Vanguard Developed	Pair Corr
0.94	VDIPX	Vanguard Developed	Pair Corr
0.93	FSPSX	Fidelity International	Pair Corr
0.7	NHS	Neuberger Berman High	Pair Corr
0.79	FCIHX	American Independence	Pair Corr
0.95	QKBGX	Federated Mdt Balanced	Pair Corr
0.86	SDVRX	Prudential Qma Mid-cap	Pair Corr
0.95	VFTNX	Vanguard Ftse Social	Pair Corr
0.82	ANAIX	Ab Global Bond	Pair Corr
0.96	VAGVX	Vanguard Advice Select	Pair Corr
0.88	GGMPX	Goldman Sachs High	Pair Corr
0.95	NDXKX	Nasdaq 100 Index	Pair Corr
0.93	BSMKX	Blackrock Smallmid Cap	Pair Corr
0.84	ANAZX	Ab Global Bond	Pair Corr
0.86	TAADX	Transamerica Bond Class	Pair Corr
0.94	AAEZX	Enhanced Fixed Income	Pair Corr
0.99	FFIKX	Fidelity Freedom Index	Pair Corr
0.88	FAFXXX	Fafxxx	Pair Corr

Related Correlations Analysis

	WAMFX	EPVIX	DSMLX	TPVIX	ACTIX	DNINX	TVSVX	TASCX	TGUNX	FTGWX
WAMFX		0.16	0.08	0.86	0.12	0.24	0.67	0.77	0.0	0.1	WAMFX
EPVIX	0.16		0.59	0.11	0.93	0.97	0.53	0.51	0.0	0.95	EPVIX
DSMLX	0.08	0.59		0.2	0.67	0.68	0.35	0.33	0.0	0.56	DSMLX
TPVIX	0.86	0.11	0.2		0.11	0.18	0.76	0.86	0.0	-0.01	TPVIX
ACTIX	0.12	0.93	0.67	0.11		0.95	0.53	0.5	0.0	0.9	ACTIX
DNINX	0.24	0.97	0.68	0.18	0.95		0.57	0.58	0.0	0.93	DNINX
TVSVX	0.67	0.53	0.35	0.76	0.53	0.57		0.91	0.0	0.45	TVSVX
TASCX	0.77	0.51	0.33	0.86	0.5	0.58	0.91		0.0	0.39	TASCX
TGUNX	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0		0.0	TGUNX
FTGWX	0.1	0.95	0.56	-0.01	0.9	0.93	0.45	0.39	0.0		FTGWX
	WAMFX	EPVIX	DSMLX	TPVIX	ACTIX	DNINX	TVSVX	TASCX	TGUNX	FTGWX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

DNINX	+ 0.97	EPVIX
FTGWX	+ 0.95	EPVIX
DNINX	+ 0.95	ACTIX
ACTIX	+ 0.93	EPVIX
FTGWX	+ 0.93	DNINX
TASCX	+ 0.91	TVSVX

High negative correlations

FTGWX	- 0.01	TPVIX
FTGWX	- 0.0	TGUNX
TGUNX	- 0.0	TASCX
TGUNX	- 0.0	TVSVX
TGUNX	- 0.0	DNINX
TGUNX	- 0.0	ACTIX

Risk-Adjusted Indicators

There is a big difference between Active Mutual Fund performing well and Active International Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Active International's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
WAMFX	0.56	(0.05)	(0.08)	0.00	0.66	(0.61)	1.21	(0.98)	3.97
EPVIX	0.61	0.11	0.08	0.33	0.70	(0.68)	1.35	(1.27)	4.33
DSMLX	0.74	(0.02)	(0.03)	0.04	1.04	(0.72)	1.45	(1.52)	5.53
TPVIX	0.85	(0.12)	0.00	(0.02)	0.00	0.00	2.08	(1.69)	6.68
ACTIX	0.16	0.03	(0.17)	1.03	0.00	(0.22)	0.41	(0.21)	0.93
DNINX	0.61	0.08	0.09	0.17	0.56	(0.71)	1.39	(0.92)	4.11
TVSVX	0.74	0.03	(0.03)	1.71	0.83	(0.89)	1.72	(1.38)	5.70
TASCX	0.73	(0.05)	(0.05)	0.02	0.81	(0.93)	1.70	(1.37)	5.62
TGUNX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
FTGWX	0.36	0.07	0.02	(1.08)	0.35	(0.38)	0.76	(0.71)	2.78

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